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中東欧におけるエネルギー集約型・非集約型産業への化石燃料およびCO2排出枠価格ショックの非対称伝達：低炭素移行への示唆

Asymmetric Transmission of Fossil Fuel and CO2 Emission Allowance Price Shocks Across Energy-Intensive and Non-Energy Industries in Central and Eastern Europe: Implications for the Low-Carbon Transition (原題)

Grzegorz Przekota, Anna Szczepańska-Przekota, Anna Kowal, Krzysztof Podgórski

Preprints.orgプレプリント2026-11-04#炭素価格経営インパクト: 資金調達対象セクター: power
DOI: 10.20944/preprints202611.0388.v1
原典: https://doi.org/10.20944/preprints202611.0388.v1

🤖 gxceed AI 要約

日本語

EU ETSのCO2排出枠価格と化石燃料価格が、ポーランド・チェコ・ハンガリー上場12社の株価にどう非対称に伝わるかをNARDLモデルで分析。石油精製企業は原油価格と、発電企業は長期のCO2価格と短期の石炭価格と顕著に関連。国内指数が即時変動を主導し、エネルギー・炭素ショックへの非線形反応は累積規模よりも短期調整の遅れ構造に現れる。

English

Using NARDL models and Wald symmetry tests, this study examines how fossil fuel and EU ETS CO2 allowance price shocks transmit asymmetrically to 12 listed firms in Poland, Czechia, and Hungary (2018–2026). Oil refiners track crude oil prices, while the power generator links to long-run CO2 allowance prices and short-run coal dynamics. Domestic benchmarks drive immediate moves, with nonlinear responses appearing mainly in short-run adjustment lags rather than cumulative magnitude.

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

📝 gxceed 編集解説 — Why this matters

日本のGX文脈において

EU ETS炭素価格が企業の株価・コストに与える非対称な影響を示す実証で、日本企業がEU域内事業で直面する炭素コスト・移行リスク評価や、SSBJ・有報での気候関連リスク開示の高度化に示唆を与える。

In the global GX context

Provides firm-level evidence on how EU ETS carbon prices transmit to equity values asymmetrically across sectors, informing TCFD/ISSB climate-risk disclosure and transition-finance risk assessment in carbon-priced markets.

👥 読者別の含意

🔬研究者:炭素価格と化石燃料価格の産業別非対称伝達をNARDLで捉える実証手法の参考になる。

🏢実務担当者:EU ETS対象事業を持つ企業は、炭素価格ショックが自社株価・コストに及ぶ経路とタイムラグを把握できる。

🏛政策担当者:炭素価格政策が産業別に非対称な負担をもたらす点を踏まえた移行支援設計の示唆。

📄 Abstract（原文）

The low-carbon energy transition, stringent EU climate policies, and recurrent energy supply crises shape industrial operating costs and resilience in coal-dependent Central and Eastern European (CEE) economies. This study investigates the asymmetric and sectorally heterogeneous transmission of fossil fuel commodity and EU Emissions Trading System (EU ETS) CO2 allowance prices to twelve companies listed on the Polish, Czech, and Hungarian stock exchanges over 2018–2026. To examine differences in exposure to energy and carbon price changes, we compare power generation and oil-refining companies with firms in food processing, telecommunications, and finan-cial services. Daily Brent crude oil, natural gas, Rotterdam coal, and CO2 allowance prices are modeled using Nonlinear Autoregressive Distributed Lag (NARDL) specifi-cations and Wald symmetry tests, controlling for domestic benchmarks (WIG, PX, BUX). Results reveal distinct differences across the analyzed companies, consistent with their energy exposure profiles: oil-refining companies exhibit pronounced rela-tionships with crude oil prices, whereas the analyzed power generation company shows associations with long-run CO₂ allowance prices and short-run coal price dy-namics. While domestic benchmarks govern immediate fluctuations, nonlinear re-sponses to energy and carbon shocks manifest predominantly in the short-run adjust-ment lag structure rather than cumulative magnitude. Finally, residual outlier analysis and Friedman tests indicate significant differences in abnormal post-shock adjustment durations across shock types, but not across firms, sectors, or countries.

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